Skip to content

Commit

Permalink
Add nb/fred-credit-spreads.ipynb for Credit Profile
Browse files Browse the repository at this point in the history
Serves also as a tutorial for use of MAD,
Median Absolute Deviation, in robustly rescaling
non-Gaussian time-series.

We consider mortgage and corporate credit spreads
to construct a robust Unified Credit Profile
to calibrate credit default risk in the context
of monetary policy.
  • Loading branch information
rsvp committed Dec 3, 2018
1 parent d9dea05 commit de7de92
Showing 1 changed file with 752 additions and 0 deletions.

0 comments on commit de7de92

Please sign in to comment.